Research articles for the 2019-06-29
Bitcoin's P2P Trading: Evidence From 23 Fiat Currencies, 2017-18
SSRN
A study of Bitcoin P2P trading in 23 fiat currencies finds trading on LocalBitcoins without considering any other issues does not have any consistent impact of the price paid for Bitcoin. There is also no evidence that liquidity or payment method impact on Bitcoin prices. There is however, evidence of higher Bitcoin prices paid in countries with economic problems when compared to Bitcoin prices in more healthy economies. Groups of countries facing similar economic conditions such as South East Asian and Central/South America experience similar Bitcoin trading patterns. However, the surprise is the European Union with very low Bitcoin price correlations between the euro and the non-EMU fiat currencies and between the non-EMU currencies themselves.
SSRN
A study of Bitcoin P2P trading in 23 fiat currencies finds trading on LocalBitcoins without considering any other issues does not have any consistent impact of the price paid for Bitcoin. There is also no evidence that liquidity or payment method impact on Bitcoin prices. There is however, evidence of higher Bitcoin prices paid in countries with economic problems when compared to Bitcoin prices in more healthy economies. Groups of countries facing similar economic conditions such as South East Asian and Central/South America experience similar Bitcoin trading patterns. However, the surprise is the European Union with very low Bitcoin price correlations between the euro and the non-EMU fiat currencies and between the non-EMU currencies themselves.
Hi̇sse Senedi̇ Geti̇ri̇ Modelleri̇nde Hatalar (Errors in Equity Return Models)
SSRN
Turkish Abstract: Bu çalışmada, hisse senedi getiri modellerinde yapılan hatalara dikkat çekmek ve sonraki çalışmalarda bu hataların tekrarlanmasını önlemek amaçlanmıştır. Hisse senedi getirilerini veya fiyatlarını açıklamayı amaçlayan modelleri öneren çalışmalar incelenmiştir. Çalışmalarda elde edilen sonuçların finansal geçerliliği sorgulanmıştır. Finansal açıdan geçersiz olanlar, nedenleri ile açıklanmıştır. En önemli hatalar; fiyatları, iki farklı finansal varlığın fiyatı ile belirlenen finansal varlıkların bağımsız değişken olarak kullanılması, ileriye doğru yanlı tahmin hataları,finansal sonuçların tutarsızlığı olarak bulunmuştur.Bağımsız değişkenlerin gecikmeli değerlerinin kullanılması, bağımsız değişkenlerin finansal açıdan özenle seçilmesi önerilmiştir.Ekonomik açıdan ilişkili olan bağımsız değişkenlerin bir arada kullanılmaması, farklı risk kategorilerinde bulunan finansal varlıkların getirilerinin birbirleri ile ilişkilendirilmesinde risk ve getiri düzenlemesi önerilmiştir.English Abstract: In this paper, it is investigated that papers which searched for a equity return model to take attention the errors in the models. It is aimed to prevent repetition of the errors. However, it is inquired financial validity of results in the papers. Results which do not have financial validity are explained with reasons. More repeated errors are using financial asset priced by two assets prices as independent factor, look ahead bias, lack of coherent financial results. Not only latency value of independent variables should be used but also variables should be selected delicately according to financial view. Variables that are related in economic mean should not be used together in a model. Risk return adjustment should be made when different risk class assets are in place.
SSRN
Turkish Abstract: Bu çalışmada, hisse senedi getiri modellerinde yapılan hatalara dikkat çekmek ve sonraki çalışmalarda bu hataların tekrarlanmasını önlemek amaçlanmıştır. Hisse senedi getirilerini veya fiyatlarını açıklamayı amaçlayan modelleri öneren çalışmalar incelenmiştir. Çalışmalarda elde edilen sonuçların finansal geçerliliği sorgulanmıştır. Finansal açıdan geçersiz olanlar, nedenleri ile açıklanmıştır. En önemli hatalar; fiyatları, iki farklı finansal varlığın fiyatı ile belirlenen finansal varlıkların bağımsız değişken olarak kullanılması, ileriye doğru yanlı tahmin hataları,finansal sonuçların tutarsızlığı olarak bulunmuştur.Bağımsız değişkenlerin gecikmeli değerlerinin kullanılması, bağımsız değişkenlerin finansal açıdan özenle seçilmesi önerilmiştir.Ekonomik açıdan ilişkili olan bağımsız değişkenlerin bir arada kullanılmaması, farklı risk kategorilerinde bulunan finansal varlıkların getirilerinin birbirleri ile ilişkilendirilmesinde risk ve getiri düzenlemesi önerilmiştir.English Abstract: In this paper, it is investigated that papers which searched for a equity return model to take attention the errors in the models. It is aimed to prevent repetition of the errors. However, it is inquired financial validity of results in the papers. Results which do not have financial validity are explained with reasons. More repeated errors are using financial asset priced by two assets prices as independent factor, look ahead bias, lack of coherent financial results. Not only latency value of independent variables should be used but also variables should be selected delicately according to financial view. Variables that are related in economic mean should not be used together in a model. Risk return adjustment should be made when different risk class assets are in place.
Information Glitters: Follow Northbound Investors on China’s Interconnected Market
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This paper explores a persistent mechanism through which investors profit from the potential information contained in northbound capital flows from Hong Kong and international investors on the interconnected market. Using a complete history of daily filings about stock-level holdings among all northbound investors, we document that weekly changes in northbound shareholdings (HPC) have a positive cross-sectional predictability for future stock return. A long-short portfolio that exploits this differentiating preference earns abnormal returns of up to 61 basis points per week, which cannot be explained by common factors. In addition to flow pressure derived from copycat herding among domestic investors, we also show evidence that HPC has stronger predictability around earnings announcements in firms with more overseas business income, confirming that northbound investors are more likely informed on the interconnected stock market. Besides, time-series analysis reveals that northbound capital is a short-term predictor of market returns both in and out of sample. Moreover, the return predictability shows little sign of decay, suggesting that both domestic and foreign investors tend to learn and profit from it over time.
SSRN
This paper explores a persistent mechanism through which investors profit from the potential information contained in northbound capital flows from Hong Kong and international investors on the interconnected market. Using a complete history of daily filings about stock-level holdings among all northbound investors, we document that weekly changes in northbound shareholdings (HPC) have a positive cross-sectional predictability for future stock return. A long-short portfolio that exploits this differentiating preference earns abnormal returns of up to 61 basis points per week, which cannot be explained by common factors. In addition to flow pressure derived from copycat herding among domestic investors, we also show evidence that HPC has stronger predictability around earnings announcements in firms with more overseas business income, confirming that northbound investors are more likely informed on the interconnected stock market. Besides, time-series analysis reveals that northbound capital is a short-term predictor of market returns both in and out of sample. Moreover, the return predictability shows little sign of decay, suggesting that both domestic and foreign investors tend to learn and profit from it over time.
Ownership Reform, State Ownership, Corporate Governance, and Agency Costs: The Case of Chinese Listed Companies.
SSRN
The aim of this paper is to examine the effect of 2005-ownership reform and state ownership on the linkages between corporate governance mechanisms and agency costs for Chinese listed firms. Based on a large panel of Chinese listed firms, we find that following the reform managerial ownership, institutional shareholdings and debt financing have emerged as effective governance mechanisms to reduce agency costs only for private-controlled firms in the post reform period. Therefore, our study concludes that the effectiveness of corporate governance mechanisms differ between state and private controlled firms and state ownership still hinders effectiveness of governance mechanisms among Chinese listed firms. This study contributes to the literature on the implications of ownership reform and state ownership for corporate governance and agency costs at the firm level in transition economies.
SSRN
The aim of this paper is to examine the effect of 2005-ownership reform and state ownership on the linkages between corporate governance mechanisms and agency costs for Chinese listed firms. Based on a large panel of Chinese listed firms, we find that following the reform managerial ownership, institutional shareholdings and debt financing have emerged as effective governance mechanisms to reduce agency costs only for private-controlled firms in the post reform period. Therefore, our study concludes that the effectiveness of corporate governance mechanisms differ between state and private controlled firms and state ownership still hinders effectiveness of governance mechanisms among Chinese listed firms. This study contributes to the literature on the implications of ownership reform and state ownership for corporate governance and agency costs at the firm level in transition economies.
Privacy as a Public Good: A Case for Electronic Cash
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Privacy is a feature inherent to the use of cash for payments. With steadily increasing market shares of commercial digital payments platforms, privacy in payments may no longer be attainable in the future. In this paper, we explore the potential welfare impact of reductions in privacy in payments in a dynamic framework. In our framework, firms may use data collected through payments to price discriminate among future customers. A public good aspect of privacy in payments arises because individual customers do not bear the full costs of failing to protect their privacy. As a consequence, they may sub-optimally choose not to preserve their privacy in payments. When left to market forces alone, the use of privacy-preserving means of payments, such as cash, may decline faster than is optimal.
SSRN
Privacy is a feature inherent to the use of cash for payments. With steadily increasing market shares of commercial digital payments platforms, privacy in payments may no longer be attainable in the future. In this paper, we explore the potential welfare impact of reductions in privacy in payments in a dynamic framework. In our framework, firms may use data collected through payments to price discriminate among future customers. A public good aspect of privacy in payments arises because individual customers do not bear the full costs of failing to protect their privacy. As a consequence, they may sub-optimally choose not to preserve their privacy in payments. When left to market forces alone, the use of privacy-preserving means of payments, such as cash, may decline faster than is optimal.
Stock Prices Behavior Before and After Friday the 13th
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Empirical researches proved that many calendar anomalies of the financial markets were not persistent in time. Sometimes, the abnormal returns, detected for specific trading days, migrated to adjacent days. This paper explores the changes suffered by Friday the 13th Effect on the four indexes of the US stock market during three periods: January 1990 â€" December 1999, January 2000 â€" December 2007 and January 2008 â€" April 2019. For the first period we found, for two of the four indexes, that returns on Friday the 13th were significant higher than the average. During the second period, for three of the four indexes, the returns were higher than the average on the trading day that follows Friday the 13th. For this period we also found abnormal volatility on the trading days that precede or follow Friday the 13th. In case of third period, the returns were significant lower on the two trading days before and significant higher three trading days after.
SSRN
Empirical researches proved that many calendar anomalies of the financial markets were not persistent in time. Sometimes, the abnormal returns, detected for specific trading days, migrated to adjacent days. This paper explores the changes suffered by Friday the 13th Effect on the four indexes of the US stock market during three periods: January 1990 â€" December 1999, January 2000 â€" December 2007 and January 2008 â€" April 2019. For the first period we found, for two of the four indexes, that returns on Friday the 13th were significant higher than the average. During the second period, for three of the four indexes, the returns were higher than the average on the trading day that follows Friday the 13th. For this period we also found abnormal volatility on the trading days that precede or follow Friday the 13th. In case of third period, the returns were significant lower on the two trading days before and significant higher three trading days after.
Structural and Financial Deficiencies in the ASEAN EC: Strategies Moving Forward (Table of Contents)
SSRN
A collective volume of articles presented in ICABE 2018 regarding structural and financial deficiencies in the ASEAN EC with strategies to move forward. Articles were selected by the scientific committee consisting of academics from Indonesia and European countries. Authors have analyzed economic and financial issues related to problems emerged in the ASEAN EC region.
SSRN
A collective volume of articles presented in ICABE 2018 regarding structural and financial deficiencies in the ASEAN EC with strategies to move forward. Articles were selected by the scientific committee consisting of academics from Indonesia and European countries. Authors have analyzed economic and financial issues related to problems emerged in the ASEAN EC region.
